Sensitivity Analysis of Two-Step Multinomial Backtests for Evaluating Value-at-Risk
Objective: Nowadays, the measurement of the risk of the marketplace has a significant effect on investments; however, the inadequate evaluation of this risk will cause a financial crisis and possible bankruptcy. One of the typical approaches to measure this risk is the probability-based risk measure...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2022-02-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_86303_0483caf7aa3744997d9aedde03ad21be.pdf |